Lars-Dierk Buchholz

Independent

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United States

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Scholarly Papers (1)

1.

Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach

Journal of Risk, Vol. 7, No. 3, pp. 29-62, Spring 2005
Posted: 25 Apr 2005
Royal Bank of Scotland, Royal Bank of Scotland, University of Melbourne - Centre for Actuarial Studies (deceased), Independent and European Central Bank (ECB)

Abstract:

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Yield curve, semi-parametric, eigenvalues, eigenvectors